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The Advanced Fixed Income and Derivatives Management Guide. Saied Simozar
Читать онлайн.Название The Advanced Fixed Income and Derivatives Management Guide
Год выпуска 0
isbn 9781119014171
Автор произведения Saied Simozar
Жанр Зарубежная деловая литература
Издательство John Wiley & Sons Limited
8.3 Performance of hedging methods, 1998–2012
9.1 Correlations of historical components of TSLV, 2000–2012
9.2 Principal components of historical components of TSLV, 2008–2012
9.3 Adjustment table for US swap volatility, June 30, 2012
9.4 Market, fair, and model volatilities, June 30, 2012
10.1 Components of the TSIR
10.2 Return attribution of coupon Strips 2/15/2027, 1997–2012
10.3 Eurodollar futures contracts, July 30, 2012
10.4 Euribor futures contracts, July 30, 2012
11.1 Timeline for cash flow analysis of inflation linked bonds
11.2 Price and spreads for selected IL bonds, July 30, 2012
11.3 Yield and interest rate durations for selected IL bonds, July 30, 2012
11.4 Real and credit durations for selected IL bonds, July 30, 2012
11.5 Sample US headline inflation index
11.6 Seasonal factors for US CPI
11.7 Yield of short maturity Tips, July 31, 2012
11.8 Risks of selected inflation swaps, July 31, 2012
12.1 Comparison of duration components of credit securities, July 30, 2012
12.2 Term structure of Brazil, May 25, 2012
12.3 Term structure of European credit spreads, May 25, 2012
12.4 Analytics for selected credit securities, July 31, 2012
12.5 Emerging markets portfolio report
12.6 Performance contribution example
12.7 Performance contribution example
12.8 Partial yields of selected securities, July 31, 2012
13.1 Selected analytics with recovery or guarantee, July 31, 2012
13.2 Partial yield and TSCS, July 31, 2012
14.1 Futures options analytics, July 31, 2012
14.2 Futures valuations analytics, July 31, 2012
14.3 Futures risk analytics, July 31, 2012
14.4 Replicating futures risks, July 31, 2012
14.5 Bond futures backtest results, July 31, 2012
14.6 Bond futures backtest underperformers, July 31, 2012
15.1 Bond option premiums, July 8, 2011
15.2 Early exercise of American call option, July 8, 2011
15.3 Bond option Greeks, July 8, 2011
15.4 Bond option durations, July 8, 2011
15.5 Bond option TSLV sensitivities, July 8, 2011
15.6 Bond option beta sensitivities, July 8, 2011
15.7 Call values of credit bonds, July 8, 2011
15.8 Option values for varying correlation parameters, July 8, 2011
15.9 Call risks of credit bonds, July 8, 2011
16.1 Long/short currency trades
18.1 Valuation of mortgage bonds, settlement August 3, 2012
18.2 Risk measures of mortgage bonds, July 31, 2012
18.3 Principal components of mortgage volatility, July 31, 2012
18.4 Principal components of swaption volatility, July 31, 2012
18.5 Hedging volatility of a mortgage
19.1 Sample portfolio analyzer output
19.2 Sample linear optimization constraints
19.3 Sample linear optimization trades, July 31, 2012
19.4 Sample portfolio preview
21.1 Practical discount yields
21.2 Practical floating discount benchmarks
21.3 Types of cash flow
21.4 Matrix of methods of risk calculation
List of Figures
2.1 Chebyshev term structure components in τ space
2.2 Chebyshev term structure components in time space
2.3 Forward rate components in τ space
2.4 Forward rate components in time space
2.5 US term structure of interest rates for September 30, 2010